An Empirical Study Of The Investment Strategy Based On Mean-CVaR Model In China’s Stock Market

For a long time,China’s financial market,especially the stock market,has faced significant investment risks.The herding effect caused by the herd mentality,imperfect regulatory system and some malicious behaviors have expanded this risk,which has caused China’s stock market to undergo ten changes from bear market to bull market in just a few decades.Such drastic market volatility means that there is great uncertainty in the assets of ordinary investors.On the contrary,China’s investors have less market experience,weak risk awareness,and insufficient risk sensitivity.Therefore,we should conduct research on existing risk measurement methods,find a quantitative model suitable for China’s market risk,apply it to portfolio optimization,and explore the changing rules of the optimal portfolio of investors with different risk preferences in different market stages.It has guiding significance for investors to avoid risks and choose appropriate investment strategies.This paper summarizes the development status of portfolio theory,investor risk preference theory,VaR and CVaR theory,and introduces the mathematical definitions and premises of various portfolio models and risk measurement models in detail.Then this paper further analyzes the similarities and differences between the definitions,properties and calculation methods of VaR model and CVaR model,and points out the superiority of CVaR model in the nature and calculation.On this basis,we build the mean-CVaR model and conduct empirical research on the optimal portfolio models of investors with different risk preferences in different market stages.The research analyzes the characteristics and adjustments of the portfolio allocation of risk-averse investors,risk-neutral investors and risk-preference investors during the stable market,bear market and bull market.At the same time,it analyzes the influence of investor risk appetite and market stage on the mean-CVaR effective frontier,andconcludes that investor risk appetite mainly affects the intercept of the effective frontier curve and the market stage mainly affects the slope of the effective frontier curve.The results of the study have good risk warning and guidance significance for investors with different risk preferences.